36 citations · 85 across the 13 of their papers we have counts for
13 papers
Stability of meanings versus rate of replacement of words: an experimental test
Michele Pasquini, Maurizio Serva
The words of a language are randomly replaced in time by new ones, but it has long been known that words corresponding to some items (meanings) are less frequently replaced than ot…
A macroscopically frustrated Ising model
M. Pasquini, M. Serva
A disordered spin glass model where both static and dynamical properties depend on macroscopic magnetizations is presented. These magnetizations interact via random couplings and,…
Moving averages and markets inefficiency
R. Baviera, M. Pasquini, J. Raboanary +1
We introduce a stochastic price model where, together with a random component, a moving average of logarithmic prices contributes to the price formation. Our model is tested agains…
Indeterminacy in foreign exchange market
Michele Pasquini, Maurizio Serva
We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the resu…
Clustering of volatility as a multiscale phenomenon
Michele Pasquini, Maurizio Serva
The dynamics of prices in financial markets has been studied intensively both experimentally (data analysis) and theoretically (models). Nevertheless, a complete stochastic charact…
Efficiency in foreign exchange markets
R. Baviera, M. Pasquini, M. Serva +2
A quantitative check of weak efficiency in US dollar/German mark exchange rates is developed using high frequency data. We show the existence of long term return anomalies. We intr…
Multiscale behaviour of volatility autocorrelations in a financial market
Michele Pasquini, Maurizio Serva
We perform a scaling analysis on NYSE daily returns. We show that volatility correlations are power-laws on a time range from one day to one year and, more important, that they exh…
Localization induced by noise and non linearity
Ph. Blanchard, M. Pasquini, M. Serva
We introduce a model for a two configurations system, and we study the transition from quantum to classical behaviour. We first consider the effect of the interaction with the envi…
Optimal Strategies for Prudent Investors
R. Baviera, M. Pasquini, M. Serva +1
We consider a stochastic model of investment on an asset of a stock market for a prudent investor. She decides to buy permanent goods with a fraction $\a$ of the maximum amount of…
A variational approach to Ising spin glasses in finite dimensions
R. Baviera, M. Pasquini, M. Serva
We introduce a hierarchical class of approximations of the random Ising spin glass in dimensions. The attention is focused on finite clusters of spins where the action of the r…
2d frustrated Ising model with four phases
M. Pasquini, M. Serva
In this paper we consider a 2d random Ising system on a square lattice with nearest neighbour interactions. The disorder is short range correlated and asymmetry between the vertica…
Characterization of chaos in random maps
V. Loreto, G. Paladin, M. Pasquini +1
We discuss the characterization of chaotic behaviours in random maps both in terms of the Lyapunov exponent and of the spectral properties of the Perron-Frobenius operator. In part…
Constrained annealing for spin glasses
G. Paladin, M. Pasquini, M. Serva
The quenched free energy of spin glasses is estimated by means of annealed averages where the frustration is constrained to its average value. We discuss the case of d-dimensional…